Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1232 |
| Annualized Std Dev | 0.3986 |
| Annualized Sharpe (Rf=0%) | 0.3090 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3711.0000 |
| NAs | 1.0000 |
| Minimum | -0.2336 |
| Quartile 1 | -0.0078 |
| Median | 0.0015 |
| Arithmetic Mean | 0.0008 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0113 |
| Maximum | 0.2241 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0016 |
| Variance | 0.0006 |
| Stdev | 0.0251 |
| Skewness | -0.2352 |
| Kurtosis | 12.8262 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0184 |
| Gain Deviation | 0.0181 |
| Loss Deviation | 0.0212 |
| Downside Deviation (MAR=210%) | 0.0221 |
| Downside Deviation (Rf=0%) | 0.0181 |
| Downside Deviation (0%) | 0.0181 |
| Maximum Drawdown | 0.8548 |
| Historical VaR (95%) | -0.0378 |
| Historical ES (95%) | -0.0629 |
| Modified VaR (95%) | -0.0357 |
| Modified ES (95%) | -0.0481 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2013-12-23 | -0.8548 | 1624 | 416 | 1208 |
| 2020-02-20 | 2020-03-23 | 2020-09-02 | -0.5934 | 137 | 23 | 114 |
| 2018-09-21 | 2018-12-24 | 2019-07-03 | -0.3663 | 196 | 65 | 131 |
| 2015-05-22 | 2016-02-11 | 2016-07-12 | -0.2699 | 287 | 183 | 104 |
| 2018-01-29 | 2018-04-02 | 2018-08-27 | -0.1988 | 147 | 44 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | -0.1 | -0.9 | 1 | -0.4 | -1.2 | -0.5 | -1 | -3 |
| 2007 | 1.2 | -0.3 | 0.2 | 0.2 | 0.8 | -0.1 | 1.3 | 1.5 | 2.5 | -4.8 | 2.1 | -1.5 | 3 |
| 2008 | 3.2 | -4 | 6.9 | 4 | 0.2 | 0.4 | -1 | -2.1 | 0 | 3.9 | -17.3 | 2.7 | -5.3 |
| 2009 | -4.5 | -4.5 | 3.9 | 1 | 4.5 | 0.5 | 0.1 | -4.5 | -5 | -5.7 | 2.3 | -1.9 | -13.5 |
| 2010 | 3.1 | 2 | 1.3 | -3.3 | -3.4 | -0.4 | 0.1 | 6 | 0.8 | 0.1 | 4.3 | 0.1 | 10.8 |
| 2011 | 3.3 | -3.4 | 0.8 | 0.4 | -4.6 | 2.9 | -0.9 | -1.8 | -5 | -5.4 | 0 | -0.8 | -13.9 |
| 2012 | 1.8 | 1.6 | 0.8 | 1.3 | -5.5 | 5 | -0.5 | 1.1 | 0.6 | 2.5 | -0.3 | 3.5 | 11.8 |
| 2013 | 1.8 | 0.6 | -0.6 | -1.8 | -2.9 | 1.1 | 2.4 | -0.7 | 1.5 | 0.4 | -0.2 | 1 | 2.6 |
| 2014 | -1.2 | 0.5 | 1.3 | -0.1 | 0.3 | 1.3 | -0.6 | 0.6 | -2.6 | 2.2 | -1.4 | -2 | -2 |
| 2015 | -2.5 | -0.6 | -0.7 | 2.1 | 0.4 | 1.5 | -0.3 | -6.1 | 0.6 | -0.9 | 1.9 | -2 | -6.7 |
| 2016 | 0.1 | 4.9 | 1.3 | -1.1 | 0.4 | 0.5 | -0.2 | 0 | 1.5 | -1.4 | -0.8 | -0.7 | 4.4 |
| 2017 | 0 | 2.6 | -0.4 | 0.4 | 1.5 | 0.3 | 0.4 | 0.3 | 0.7 | 0.3 | -0.4 | -0.7 | 5.2 |
| 2018 | -0.3 | -2.7 | 2.8 | 0.4 | 2.1 | 0.3 | -0.2 | 0 | 0.7 | 2 | 1.3 | 1.8 | 8.4 |
| 2019 | 0.2 | 1.4 | 2.2 | -1.4 | -2.7 | 1.7 | -1.8 | -0.1 | -2.4 | 1.9 | -0.8 | 0.4 | -1.3 |
| 2020 | -3.6 | -0.4 | -9 | -5.3 | 0.9 | 1.3 | 1.6 | 1.9 | 1.3 | -2.1 | 2.2 | 1 | -10.4 |
| 2021 | 3.2 | 4.9 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.8 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
